Alpha Architect Research Blog

The Newest Alpha Architect Research and Insights


Dual Momentum with Stock Selection

Jack did a nice recap on a momentum paper last week that looks at using fundamentals (revenue volatility, low cost of goods, and B/M) to help identify the best price momentum stocks. This paper sounds similar to the paper Jack ...

Firm-Specific Information and Momentum Investing

When it comes to momentum investing, everyone is always looking for a better way to implement a momentum-based stock selection strategy (the same goes for a value strategy). We highlight a few methods in our book, Quantitative Momentumas well as on our ...

Evidence-Based Investing? Take that Alpha and Shove It.

Johnny Paycheck has a great country song centered around the following lyric: Take this job and shove it...I ain't working here no more... Campbell Harvey, in the 2017 AFA Presidential Address, elaborates an analogous comment on the current state of ...

DIY Asset Allocation Weights: March 2017

Do-It-Yourself tactical asset allocation weights are posted. Create a free account here if you want to access the site directly. Sign in here if you already have a free account. Strategy Date Domestic Value Domestic Mom Int'l. Value Int'l. Mom Real Estate Commodities ...

Don’t Make a Bar Bet with Warren Buffett

This past weekend Warren Buffet made some headlines that has the financial world spinning:
  • Berkshire Hathaway released its annual report...which is always a great read.
  • The (in)famous bet of Buffett's that the S&P would outperform a basket of hedge funds ...

Active Managers Should Love Passive Investing–It Makes Them Better!

Blaming the disappointing performance of active management on the exponential growth of passive indexing (defined here) is not a new idea. However, a recently published paper in the Journal of Financial Economics,(3) provides a new and notable take on the ...

Active Versus Passive Investing: Can we End the Confusion?

I've noticed something profound the past few years: depending on your audience, the definition of active investing and passive investing is different. To a financial journalist, active means "human stock-picker," and passive means "computer stock-picker." In addition, financial journalists often ...

Swedroe Spotlight: Explaining the Low Risk Effect

Before proceeding, it’s important to note that beta and volatility are related, though not the same. Beta depends on volatility and correlation to the market, whereas volatility is related to idiosyncratic risk (see here for an explanation of how to ...

President’s Day Factor Investing Geekout

Our epic piece on factors from a few weeks ago is still ringing in our own ears: Are factors even real? Or just data-mining? The conclusion: who knows. We need more data. And more data we can find. To include ...

Will ETFs Destroy Factor Investing? Nope.

One of the popular investing truisms is the following (inspired by Bill Sharpe): For somebody to beat the market (win) someone else has to lag the market (lose). This becomes an even more daunting (efficient market) statement when changed to ...

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